my model for indices

A

andrasnm

here is the daily, weekly and monthly charts for my (simple) model for market timing.
The red on top signals a sell and the green on top is a buy.
What I did not realize that major reversals the weekly also must confirm the daily chart's signals. It looks as if the weekly will enter the bearish territory next week.
the weekly charts indicate reversal while the monthly may indicate the return of the secular bear market (which is a distant possibility too)
 

Attachments

the actual WLD 3.0 code of the model;
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var NMACDPANE, NSIGNAL, NCOUNT, BAR: integer;
{ Create a new chart pane to hold our MACD indicator }
nMACDPane := CreatePane( 100, TRUE, TRUE );

{ Plot MACD in our new pane }
PlotSeries( MACDSeries( #Close ), nMACDPane, 500, 3 );
DrawText( 'MACD', nMACDPane, 4, 4, 500, 8 );

{ MACD Signal Line is typically a 9 day EMA }
nSignal := EMASeries( MACDSeries( #Close ), 9 );
PlotSeries( nSignal, nMACDPane, 000, 1 );



{ Color bars green when DI+ > DI-, otherwise color them red }

var ADXPane: integer;
ADXPane := CreatePane( 100, true, true );
PlotSeries( DIMinusSeries( 10 ), ADXPane, 900, #Thick );

PlotSeries( DIPlusSeries( 10 ), ADXPane, 050, #Thick );

for Bar := 11 to BarCount - 1 do
begin
if DIPlus( Bar, 10 ) > DIMinus( Bar, 10 ) then
begin
SetBarColor( Bar, #Green );

if not LastPositionActive then
BuyAtMarket(Bar+1, 'Buy on Green')
else
begin
if PositionShort( LastPosition ) then
CoverAtMarket(Bar+1, LastPosition, 'Cover Short');
end;
end
else
begin
SetBarColor( Bar, #Red );

if not LastPositionActive then
ShortAtMarket(Bar+1, 'Short on red')
else
begin
if PositionLong(LastPOsition) then
SellAtMarket(Bar+1, Lastposition, 'Sell on red');
end;
end;
end;

HideVolume;
 
This is an imprecise market timing system you can test it yourself if so pleases you (or if you can figure a way to do it :). There is no point backtesting a "market timing" system as it is not a trading system! I am trying to draw a distinction. Alas when my signal goes red it does not mean short but make adjustment in portfolio allocation or adjust positions via leaps or index funds.
Quote from hypostomus:

You backtested this? That's a trick question, BTW.
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Quote from andrasnm:

This model is best used with options or rydex index funds. Do not attempt to use it with outright futures contracts!
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Quote from andrasnm:

This is an imprecise market timing system...
More...
Thx for the warning.
nononsense
 
Quote from andrasnm:

There is no point backtesting a "market timing" system as it is not a trading system!
More...
I sure have wasted a lot of time doing just that.
 
The dangers of a low volatility environment. However, I must add that it was encouraging to see the downside velocity finally equal the upside velocity of a few weeks back. In recent times, we have witnessed entire days or weeks of downside corrective moves compromised in 1-2 days as the combination of short covering, program trading and overall illiquid market conditions provide the fuel for these near instantaneous re-pricings.

It seems that we have now entered back into this sort of Global "chicken and egg" game again, whereby US markets "feed" indirectly off of the Asian Market and to some extent the European markets. As we all know, there was less focus on this Global correlation over the past few years. However, one would have to be blind deaf and dumb not to notice that all markets have gone parabolic again in recent weeks, therefore one must assume a sort of climatic topping action.
 
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